Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 5 | 5 | 5 |
| Score | 8.12 | 6.64 | 8.04 |
| Market Cap (Millions USD) | 78148.03 | 75028 | 74249.77 |
| Predicted Beta | 2.8 | 2.78 | 2.73 |
| Idiosyncratic Volatility | 2.49 | 3.16 | 3.3 |
Annualized return and volatility
| QQQ | |
|---|---|
| Annualized Return | 0.0473 |
| Annualized Std Dev | 0.2712 |
| Annualized Sharpe (Rf=0%) | 0.1745 |
Row
Daily Return Statistics
| QQQ | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.0896 |
| Quartile 1 | -0.0062 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0076 |
| Maximum | 0.1684 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0171 |
| Skewness | 0.3349 |
| Kurtosis | 7.8256 |
Downside Risk
| QQQ | |
|---|---|
| Semi Deviation | 0.0121 |
| Gain Deviation | 0.0128 |
| Loss Deviation | 0.0132 |
| Downside Deviation (MAR=210%) | 0.0165 |
| Downside Deviation (Rf=0%) | 0.0119 |
| Downside Deviation (0%) | 0.0119 |
| Maximum Drawdown | 0.8296 |
| Historical VaR (95%) | -0.0274 |
| Historical ES (95%) | -0.0415 |
| Modified VaR (95%) | -0.0234 |
| Modified ES (95%) | -0.0241 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-03-28 | 2002-10-09 | 2015-02-20 | -0.8296 | 3815 | 647 | 3168 |
| 2018-08-30 | 2018-12-24 | 2019-04-12 | -0.2280 | 158 | 82 | 76 |
| 2015-12-02 | 2016-02-09 | 2016-07-27 | -0.1610 | 166 | 48 | 118 |
| 2000-01-04 | 2000-01-06 | 2000-01-19 | -0.1547 | 11 | 3 | 8 |
| 2015-07-21 | 2015-08-25 | 2015-10-28 | -0.1394 | 72 | 27 | 45 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | QQQ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 2.7 | 0.8 | 0.0 | 0.9 | 5.1 | 0.0 | -1.3 | 1.0 | 0.0 | -0.9 | 1.6 | 0.0 | 10.2 |
| 2001 | 1.3 | 2.8 | 0.0 | 4.1 | 3.0 | 0.0 | 3.2 | 0.0 | -0.9 | 4.2 | 0.0 | 0.0 | 19.1 |
| 2002 | -1.0 | 5.8 | 1.9 | -0.5 | 0.0 | -4.8 | -4.7 | 0.0 | 6.1 | 2.9 | 0.0 | 0.0 | 5.2 |
| 2003 | 0.0 | 0.0 | 0.8 | 0.9 | 0.0 | 1.3 | -1.1 | 0.0 | 2.3 | 0.0 | 1.5 | 0.0 | 5.8 |
| 2004 | 0.0 | 1.3 | 0.9 | 0.0 | -0.1 | -1.9 | 0.0 | 0.7 | 2.7 | 0.4 | 2.0 | 0.0 | 6.2 |
| 2005 | 0.3 | 1.1 | -1.0 | 0.0 | 0.8 | -0.1 | 0.2 | -0.2 | 0.0 | -0.1 | 1.9 | 0.0 | 2.9 |
| 2006 | 0.4 | 1.4 | 0.0 | -1.0 | 2.4 | 0.0 | -1.7 | 0.5 | 0.0 | -1.4 | -0.9 | 0.0 | -0.3 |
| 2007 | -0.2 | -0.5 | 0.0 | -0.1 | 0.1 | 0.0 | 0.8 | 0.0 | 1.1 | -1.9 | 0.0 | 0.0 | -0.6 |
| 2008 | 1.0 | 0.0 | 4.3 | 3.2 | 0.0 | 1.4 | -1.3 | 0.0 | -1.1 | 0.0 | -7.5 | 0.0 | -0.4 |
| 2009 | 0.0 | 0.0 | 1.5 | 0.3 | 2.9 | 0.1 | 0.0 | -1.9 | -3.0 | 0.0 | 1.0 | 0.0 | 0.7 |
| 2010 | 1.1 | 1.5 | 0.0 | 0.0 | -0.9 | -0.3 | 0.0 | 3.0 | -0.1 | 0.1 | 2.1 | 0.0 | 6.5 |
| 2011 | 1.9 | -1.6 | 0.1 | 0.0 | -2.2 | 1.5 | -0.5 | -0.9 | 0.0 | -2.6 | 0.7 | 0.0 | -3.7 |
| 2012 | 0.8 | 0.8 | 0.0 | 0.2 | -2.7 | 0.0 | -0.3 | 0.0 | -0.1 | 1.4 | 0.0 | 0.0 | 0.0 |
| 2013 | 1.2 | 0.4 | -0.7 | -0.5 | 0.0 | 0.6 | 1.0 | 0.0 | 1.0 | 0.0 | 0.0 | 0.0 | 3.1 |
| 2014 | 0.0 | 0.0 | 1.8 | 0.3 | 0.0 | 1.1 | -0.4 | 0.0 | -1.6 | 0.0 | -1.1 | 0.0 | 0.0 |
| 2015 | 0.0 | 0.0 | -0.5 | 1.3 | 0.3 | 0.8 | 0.0 | -3.1 | 0.5 | 0.0 | 1.0 | 0.0 | 0.2 |
| 2016 | 0.3 | 3.2 | 1.1 | 0.0 | 0.0 | 0.5 | 0.5 | 0.3 | 0.0 | -0.8 | -1.7 | 0.0 | 3.3 |
| 2017 | 0.7 | 1.1 | 0.0 | 0.9 | 0.4 | 0.0 | 0.2 | -0.1 | 0.0 | 0.0 | -0.4 | 0.0 | 2.7 |
| 2018 | -0.9 | -1.6 | 0.0 | 1.1 | 1.6 | 0.0 | 0.4 | 0.0 | 0.2 | 1.3 | 0.0 | 0.0 | 2.1 |
| 2019 | -0.4 | 0.7 | 1.3 | -0.3 | 0.0 | 1.3 | -0.5 | 0.0 | -0.8 | 0.9 | 0.0 | 0.1 | 2.3 |
Row
Rolling Performance Chart
Snail Trail Chart
